Risk Theory I

This subject is not offered in 2014.

The following:

None

Please refer to Prerequisites and Corequisites.

None

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/

Topics include collective risk model, calculation of moments and mgf of aggregate claims, recursion formulae, effect of reinsurance; individual risk model, recursion formulae and approximations; credibility theory, exact credibility and the Buhlmann-Straub model; an introduction to ruin theory.

• Apply relevant pre-requisite knowledge of mathematics, probability theory and statistics in the solution of a range of practical problems;
• Derive and calculate probabilities for, and moments of, loss distributions both with and without simple reinsurance arrangements;
• Construct risk models appropriate for short term insurance contracts and derive both moments and moment generating functions for aggregate claim amounts under these models;
• Derive recursion formulae to calculate aggregate claims distributions for short term insurance contracts;
• Describe and apply approximate methods of calculating an aggregate claims distribution;
• Explain the fundamental concepts of Bayesian statistics and apply these concepts to derive Bayesian estimators;
• Describe and apply the fundamental concepts of credibility theory;
• Explain the concept of ruin for a risk model;
• Explain the significance of the adjustment coefficient in ruin theory.

A 50-minute mid-semester test (20%) and a 2-hour end-of-semester examination (80%).

You will be advised of prescribed texts by your lecturer.

Information Not Available

This subject is not available as a breadth subject.

• High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.